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A General Characterization of Quadratic Term Structure Models. (2002). Chen, Li.
In: Finance.
RePEc:wpa:wuwpfi:0211008.

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Cited: 3

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  1. Pseudo-diffusions and Quadratic term structure models. (2004). Levendorskii, Sergei.
    In: Papers.
    RePEc:arx:papers:cond-mat/0212249.

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  2. Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility. (2003). Scaillet, Olivier.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2003-29.

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  3. Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility. (2002). Scaillet, Olivier ; Cheng, Peng.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp67.

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References

References cited by this document

  1. [16] Madan, D.B. and Unal, H. (1996),Pricing the Risks of Default, Working paper, The Wharton Financial Institution Center.

  2. [17] Revuz, D. and Yor, M. (1994), Continuous Martingales and Brownian Motion, Second Edition, Springer-Verlag.
    Paper not yet in RePEc: Add citation now
  3. [18] Rudin, W. (1991), Functional Analysis, Second Edition, McGraw-Hill.
    Paper not yet in RePEc: Add citation now
  4. [19] Sato, K. (1999), Levy Processes and Innitely Divisible Distributions, Cambridge University Press.
    Paper not yet in RePEc: Add citation now
  5. [4] DuÆe, D., Filipovic, D. and Schachermayer, W. (2002), AÆne Processes and Applications in Finance, Forthcoming, The Annals of AppliedProba38 bility.
    Paper not yet in RePEc: Add citation now
  6. [9] Dynkin, E. B. (1965), Markov Process , Springer-Verlag.
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Cocites

Documents in RePEc which have cited the same bibliography

  1. Pricing method and applications for the farmers joint liability based on intensity model and Monte Carlo simulation. (2015). Pang, Sulin ; Li, Shuqing ; Xiao, Jinwang.
    In: Journal of Financial Engineering (JFE).
    RePEc:wsi:jfexxx:v:02:y:2015:i:01:n:s2345768615500087.

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  2. An Empirical Analysis of Asset-Backed Securitization. (2008). Vink, Dennis.
    In: MPRA Paper.
    RePEc:pra:mprapa:10382.

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  3. Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements. (2008). Gann, Philipp .
    In: Discussion Papers in Business Administration.
    RePEc:lmu:msmdpa:4831.

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  4. An empirical study of corporate bond pricing with unobserved capital structure dynamics.. (2007). Maclachlan, Iain C.
    In: MPRA Paper.
    RePEc:pra:mprapa:28416.

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  5. Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model. (2006). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:13:y:2006:i:1:p:11-39.

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  6. Credit Risk Modeling and the Term Structure of Credit Spreads. (2003). Chen, Li.
    In: Finance.
    RePEc:wpa:wuwpfi:0312009.

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  7. Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates. (2003). Chen, Li.
    In: Finance.
    RePEc:wpa:wuwpfi:0303008.

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  8. What did the credit market expect of Argentina default? Evidence from default swap data. (2003). Zhang, Frank X..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-25.

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  9. Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process. (2003). Panjer, Harry ; Chen, Cho-Jieh .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:2:p:357-380.

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  10. Understanding the Recovery Rates on Defaulted Securities. (2003). Acharya, Viral ; Bharath, Sreedhar T ; Srinivasan, Anand.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4098.

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  11. A General Characterization of Quadratic Term Structure Models. (2002). Chen, Li.
    In: Finance.
    RePEc:wpa:wuwpfi:0211008.

    Full description at Econpapers || Download paper

  12. Affine Processes and Application in Finance. (2002). Duffie, Darrell ; Schachermayer, W. ; Filipovic, D..
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0281.

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  13. Pricing Credit Derivatives with Rating Transitions. (2002). Das, Sanjiv ; Acharya, Viral ; Sundaram, Rangarajan K.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3329.

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  14. Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy. (2002). Carpenter, Jennifer ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3328.

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  15. Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates. (2001). Bakshi, Gurdip ; Zhang, Frank ; Madan, Dilip.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-37.

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  16. Investigating the sources of default risk: lessons from empirically evaluating credit risk models. (2001). Bakshi, Gurdip ; Zhang, Frank ; Madan, Dilip.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-15.

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  17. Pricing the strategic value of poison put bonds. (1998). David, Alexander.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1998-06.

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  18. Estimating the price of default risk. (1996). Duffee, Greg.
    In: Finance and Economics Discussion Series.
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  19. Treasury yields and corporate bond yield spreads: an empirical analysis. (1996). Duffee, Greg.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:96-20.

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  20. Risk-Based Capital Standards and the Riskiness of Bank Portfolios: Credit and Factor Risks. (1995). Grenadier, Steven R. ; Hall, Brian J..
    In: NBER Working Papers.
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